Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2011
This paper assesses the quantitative impact of ambiguity on the historically observed financial asset returns and … distribution on consumption and dividends in the next period as ambiguous, an ambiguity that is endogenously dynamic, e ….g., increasing during recessions. We calibrate ambiguity aversion to match only the first moment of the risk-free rate in data and …